fp0001582_nq.htm
 
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number          811-22066                          
 
Cornerstone Progressive Return Fund 
(Exact name of registrant as specified in charter)
 
260 Madison Avenue, 8th Floor                           New York, New York
10016 
                   (Address of principal executive offices)
(Zip code)
 
Frank J. Maresca
 
Ultimus Fund Solutions, LLC    260 Madison Avenue, 8th Floor    New York, NY 10016 
(Name and address of agent for service)
 
Registrant's telephone number, including area code:  (646) 881-4985    
 
Date of fiscal year end:         December 31, 2010      
 
Date of reporting period:        March 31, 2010        
 
Form N-Q is to be used by management investment companies other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 
 
 
 
Item 1.
Schedule of Investments.
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2010 (UNAUDITED)
  
   
Description
  
No. of Shares
    
Value
  
EQUITY SECURITIES - 98.72%
  
CLOSED-END FUNDS - 90.17%
  
CONVERTIBLE SECURITIES - 4.46%
        
Advent Claymore Convertible Securities & Income Fund
     87,900     $ 1,478,478  
Calamos Convertible & High Income Fund
     53,335       654,954  
Nicholas-Applegate Equity & Convertible Income Fund
     23,700       400,767  
              2,534,199  
CORE - 22.82%
          
Adams Express Company (The) (a)
     141,606       1,493,943  
Blue Chip Value Fund
     242,850       803,833  
Gabelli Equity Trust, Inc.
     138,900       705,612  
General American Investors Company, Inc.
     14,585       361,416  
Liberty All-Star Equity Fund
     322,399       1,531,395  
Liberty All-Star Growth Fund
     34,200       127,908  
Royce Micro-Cap Trust, Inc.
     146,356       1,198,656  
Royce Value Trust, Inc.
     351,402       4,160,600  
Source Capital, Inc.
     19,100       886,431  
Tri-Continental Corporation
     138,534       1,699,812  
              12,969,606  
CORPORATE DEBT FUNDS BBB-RATED - 4.05%
          
AllianceBernstein Income Fund
     180,300       1,467,642  
BlackRock Core Bond Trust
     18,200       222,222  
Blackrock Enhanced Government Fund, Inc.
     8,300       136,452  
Blackrock Income Opportunity Trust, Inc.
     1,300       12,285  
Hartford Income Shares Fund, Inc.
     1,400       7,952  
Montgomery Street Income Securities, Inc.
     12,941       199,550  
Western Asset Inflation Management Fund, Inc.
     3,000       48,060  
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
     18,000       212,400  
              2,306,563  
DEVELOPED MARKET - 0.39%
          
Morgan Stanley Asia Pacific Fund, Inc.
     1,398       21,306  
New Ireland Fund, Inc. (The)
     16,200       119,070  
Singapore Fund, Inc. (The)
     6,000       78,300  
              218,676  
EMERGING MARKETS - 4.67%
          
Emerging Markets Telecommunications Fund
     13,400       228,336  
Mexico Equity And Income Fund, Inc.
     9,000       83,880  
Morgan Stanley Eastern Europe Fund, Inc.
     6,000       100,560  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2010 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
Morgan Stanley Frontier Emerging Markets Fund
     12,355     $ 149,743  
Morgan Stanley India Investment Fund, Inc.
     50,300       1,172,996  
Templeton Dragon Fund, Inc.
     32,900       852,110  
Turkish Investment Fund, Inc. (The)
     5,000       69,200  
              2,656,825  
GENERAL BOND - 0.02%
          
MFS Intermarket Income Trust I
     1,700       13,753  
                 
GLOBAL - 0.23%
          
Lazard World Dividend & Income Fund, Inc.
     11,049       132,588  
                 
GLOBAL INCOME - 0.62%
          
Evergreen International Balanced Income Fund
     25,074       351,036  
                 
HIGH CURRENT YIELD (LEVERAGED) - 1.86%
          
BlackRock High Income Shares
     109,871       223,038  
BlackRock High Yield Trust
     17,535       112,750  
First Trust Strategic High Income Fund
     71,216       232,876  
First Trust Strategic High Income Fund II
     37,700       170,404  
First Trust Strategic High Income Fund III
     28,300       118,294  
Franklin Universal Trust
     33,700       199,841  
              1,057,203  
INCOME & PREFERRED STOCK - 9.60%
          
BlackRock Preferred & Corporate Income Strategies Fund, Inc.
     29,600       267,288  
BlackRock Preferred Opportunity Trust
     44,800       475,328  
Calamos Strategic Total Return Fund
     279,538       2,557,773  
John Hancock Preferred Income Fund
     49,300       905,641  
John Hancock Preferred Income Fund II
     27,379       496,929  
LMP Capital & Income Fund, Inc.
     3,762       40,479  
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund
     12,863       163,231  
Preferred Income Strategies Fund
     54,831       552,148  
              5,458,817  
LOAN PARTICIPATION - 0.47%
          
BlackRock Defined Opportunity Credit Trust
     5,300       68,317  
BlackRock Diversified Income Strategies Fund, Inc.
     18,800       197,588  
              265,905  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2010 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
OPTION ARBITRAGE/OPTIONS STRATEGIES - 8.38%
        
Dow 30 Enhanced Premium & Income Fund, Inc.
     164,900     $ 1,752,887  
Dow 30 Premium & Dividend Income Fund, Inc.
     14,000       206,640  
Enhanced S&P 500 Covered Call Fund, Inc.
     17,100       142,101  
Nasdaq Premium Income & Growth Fund, Inc.
     10,117       140,323  
NFJ Dividend, Interest & Premium Strategy Fund
     154,980       2,451,784  
Small Cap Premium & Dividend Income Fund, Inc.
     7,400       74,592  
              4,768,327  
PACIFIC EX JAPAN - 8.90%
          
Asia Pacific Fund, Inc. (The)
     4,000       39,800  
China Fund, Inc. (The)
     4,500       125,595  
Greater China Fund, Inc. (The)
     32,000       387,200  
JF China Region Fund, Inc.
     9,700       129,980  
Korea Fund, Inc. (The)
     3,000       110,100  
Malaysia Fund, Inc.
     29,300       255,203  
Morgan Stanley China A Share Fund, Inc.
     91,152       2,643,408  
Taiwan Fund, Inc.
     49,700       694,806  
Thai Fund, Inc. (The)
     69,120       674,611  
              5,060,703  
REAL ESTATE - 3.61%
          
Cohen & Steers Quality Income Realty Fund, Inc.
     181,000       1,290,530  
Cohen & Steers REIT & Preferred Income Fund, Inc.
     43,271       517,954  
LMP Real Estate Income Fund, Inc.
     6,400       57,792  
Neuberger Berman Real Estate Securities Income Fund, Inc.
     18,900       65,016  
RMR Asia Pacific Real Estate Fund
     6,901       118,420  
              2,049,712  
SECTOR EQUITY - 10.54%
          
Cohen & Steers Infrastructure Fund, Inc.
     29,900       445,211  
H&Q Healthcare Investors
     161,489       2,070,289  
H&Q Life Sciences Investors
     94,590       972,385  
John Hancock Bank and Thrift Opportunity Fund
     95,120       1,598,967  
Macquarie Global Infrastructure Total Return Fund, Inc.
     44,934       716,248  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2010 (UNAUDITED) (Continued)
  
   
CLOSED-END FUNDS (Continued)
  
Petroleum & Resources Corporation (a)
     8,000     $ 190,640  
              5,993,740  
U.S. MORTGAGE - 1.96%
          
BlackRock Income Trust, Inc.
     100,474       659,109  
First Trust/FIDAC Mortgage Income Fund
     24,731       454,803  
              1,113,912  
VALUE - 7.59%
          
Claymore Dividend & Income Fund
     30,200       423,706  
Gabelli Dividend & Income Trust
     256,950       3,538,202  
Royce Focus Trust, Inc.
     53,014       354,134  
              4,316,042  
                 
TOTAL CLOSED-END FUNDS
       51,267,607  
                 
CONSUMER DISCRETIONARY - 0.52%
  
Comcast Corporation - Class A
     3,358       63,198  
Home Depot, Inc. (The)
     2,000       64,700  
Time Warner, Inc.
     2,000       62,540  
Walt Disney Company (The)
     3,000       104,730  
              295,168  
CONSUMER STAPLES - 1.21%
  
Coca-Cola Company (The)
     3,000       165,000  
CVS Caremark Corporation
     2,746       100,394  
H.J. Heinz Company
     2,000       91,220  
Procter & Gamble Company (The)
     5,233       331,092  
              687,706  
ENERGY - 1.00%
  
Exxon Mobil Corporation
     8,475       567,655  
                 
FINANCIALS - 0.94%
  
American Express Company
     3,252       134,177  
AON Corporation
     3,000       128,130  
Goldman Sachs Group, Inc. (The)
     1,000       170,630  
Wells Fargo & Company
     3,206       99,771  
              532,708  
HEALTH CARE - 1.57%
  
Becton, Dickinson and Company
     3,000       236,190  
Johnson & Johnson
     8,000       521,600  
Medtronic, Inc.
     3,000       135,090  
              892,880  
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND
  
SCHEDULE OF INVESTMENTS - MARCH 31, 2010 (UNAUDITED) (Continued)
  
   
INDUSTRIALS - 1.11%
  
3M Company
     1,567     $ 130,954  
Danaher Corporation
     2,000       159,820  
Emerson Electric Company
     2,000       100,680  
United Technologies Corporation
     2,108       155,170  
Waste Management, Inc.
     2,500       86,075  
              632,699  
INFORMATION TECHNOLOGY - 2.03%
  
AOL, Inc. *
     182       4,597  
Automatic Data Processing, Inc.
     5,000       222,350  
Cisco Systems, Inc. *
     18,470       480,774  
Google, Inc. - Class A *
     532       301,649  
Intel Corporation
     6,599       146,894  
              1,156,264  
MATERIALS - 0.17%
  
Freeport-McMoRan Copper & Gold, Inc.
     1,119       93,481  
                 
                 
TOTAL EQUITY SECURITIES (cost - $50,065,436)
       56,126,168  
                 
                 
RIGHTS - 0.2%
                
Greater China Fund, Inc. (The) (Cost - $0)
     32,000       10,880  
                 
SHORT-TERM INVESTMENT - 1.38%
                
MONEY MARKET FUND - 1.38%
                
JPMorgan U.S. Government Money Market Fund (cost - $786,801)
     786,801       786,801  
                 
TOTAL INVESTMENTS - 100.12% (cost - $50,852,237)
       56,923,849  
                 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.12)%
       (67,489 )
                 
NET ASSETS - 100.00%
     $ 56,856,360  

(a) Affiliated investment.  The Fund holds 2.63% and 0.34% (based on net assets) of Adams Express Company and Petroleum & Resources Corporation, respectively.  A trustee of the Fund also serves as a director to such companies.  During the three months ended March 31, 2010 there were no purchases or sales of either of these securities.  Adams Express Company and Petroleum & Resources Corporation, earned $7,080 and $400 of income, respectively, during the three months ended March 31, 2010.
* Non-income producing security.
 
See accompanying notes to schedule of investments.
 
 
 
 
 
CORNERSTONE PROGRESSIVE RETURN FUND, INC.
NOTES TO SCHEDULES OF INVESTMENTS
March 31, 2010 (UNAUDITED)
 
Federal Income Tax Cost: At March 31, 2010 the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $50,852,237, $7,301,502, $(1,229,890) and $6,071,612 respectively.
 
As required by the Fair Value Measurement and Disclosures Topic of the FASB Accounting Standards Codification, the Fund has performed an analysis of all assets and liabilities measured at fair value to determine the significance and character of all inputs to their fair value determination.
 
The fair value hierarchy prioritizes the inputs to valuation techniques used to measure fair value into the following three broad categories.
 
 
·
Level 1 – quoted unadjusted prices for identical instruments in active markets to which the Fund has access at the date of measurement.
 
 
·
Level 2 – quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers.
 
 
·
Level 3 – model derived valuations in which one or more significant inputs or significant value drivers are unobservable.  Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
 
The following is a summary of the inputs used as of March 31, 2010 in valuing the Fund’s investments carried at value:
 
Valuation Inputs
  
INVESTMENTS IN SECURITIES
    
OTHER FINANCIAL INSTRUMENTS*
  
             
Level 1 - Quoted Prices
   $ 56,137,048     $ -  
Level 2 - Other Significant Observable Inputs
     786,801       -  
Level 3 – Significant Unobservable Inputs
     -       -  
Total
   $ 56,923,849     $ -  
* Other financial instruments include futures, forwards and swap contracts.
 
During the period the Fund did not have any significant transfers in and out of Level 1 or Level 2.
 
The Fund did not have any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at March 31, 2010.
 
New Accounting Pronouncement: In January 2010, the FASB Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements”. ASU 2010-06 amends FASB Accounting Standards Codification Topic, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measure­ments. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009 and have been reflected herein while other required disclosures are effective for fiscal years beginning after December 15, 2010,  and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures.
 
 
 
 
 
The Fund is exposed to financial market risks, including the valuations of its investment portfolio.  For the period ended March 31, 2010, the Fund did not engage in derivative instruments and other hedging activities.
 
Securities valuation policies and other investment related disclosures are herby incorporated by reference to the Fund’s annual report previously filed with the Securities and Exchange Commission on the Form N-CSR on March 5, 2010 with a file number 811-22066.
 
Other information regarding the Fund is available in the Fund’s most recent annual report filed with the Securities and Exchange Commission on the Form N-CSR on March 5, 2010, file number 811-22066.  This information is also available to registered shareholders by calling (800) 937-5449.  For general inquiries, please call (513) 326-3597.  This information is also available on the website of the Securities and Exchange Commission – http://www.sec.gov.
 
 
 
 
 
Item 2.
Controls and Procedures.
 
(a)  Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, the registrant’s principal executive officer and principal financial officer have concluded that such disclosure controls and procedures are reasonably designed and are operating effectively to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared, and that such information is recorded, processed, summarized, and reported on a timely basis.
 
(b)  There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
 
Item 3.
Exhibits.
 
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)):  Attached hereto
 
 
 
 
 
SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)   Cornerstone Progressive Return Fund         
 
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
 
Ralph W. Bradshaw, President and Chairman
  
 
(Principal Executive Officer)
  
     
Date
May 24, 2010
    

 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)*
/s/ Ralph W. Bradshaw
  
 
Ralph W. Bradshaw, President and Chairman
  
 
(Principal Executive Officer)
  
     
Date
May 24, 2010
    

 
By (Signature and Title)*
/s/ Frank J. Maresca
  
 
Frank J. Maresca, Treasurer (Principal Financial Officer)
  
Date
May 24, 2010
    
 
* Print the name and title of each signing officer under his or her signature.